Escape Rooms can serve multiple academic and educational purposes and can be used as part of the evaluation of a learning program. The aim of this study was to analyze the levels of anxiety and stress perceived in the evaluation using the Escape Room compared to the traditional evaluation, as well as to analyze the gaming experience. Methods: A comparative study was carried out in students of the Degree in Physiotherapy, with a total of 56 participants who underwent 2 evaluation processes. The variables analyzed were the State—Trait Anxiety Inventory, the Perceived Stress Questionnaire, and the Gaming Experience Scale. A comparative analysis was performed between the groups using the Mann Whitney U test and Student’s T test. Results: The levels of state-anxiety and trait-anxiety were higher in the traditional assessment group. Although no differences were found in the qualification obtained by the students, statistically significant differences were found between the two evaluation systems in terms of the overload factor, the energy factor, and the fear-anxiety factor of the perceived stress questionnaire. Conclusions: The Escape Room can be considered as an alternative to the traditional evaluation in Physiotherapy Degree students due to its lower levels of anxiety and perceived stress.